Remove swordfish from marinade and reserve marinade. Use a sharp knife to cut pockets into the sides of the swordfish steaks.

In a large bowl, toss together rocket, tomato, 1/4 cup olive oil and 1/4 cup lemon juice. Stuff swordfish with rocket mixture and seal with small skewers or toothpicks. Place marinade in a small saucepan and cook over high heat until reduced by half.

Heat the grill. Grill swordfish for 5 minutes on each side. Spoon reduced marinade over swordfish and serve.